I have made only 3 batches of brew, but I was wondering what I am doing incorrectly, The starting gravity is always right, but the finishing gravity is always higher than it's suppose to be. I have different yeast, more yeast at the start. Any ideas???

Try making a starter of 500ml to 1L or more a day or two prior to pitching. This way you will increase the amount of viable yeast cells that are introduce to the wort. Also, make sure you aerate the f*** out of the wort once it is cooled and before you pitch the yeast. I assume you are an extract brewer. If not, let me know because there are some things all grainers can do to achieve greater fermentation.

I assume that you are extract brewing. If you are using malt, (all malt or partial) high mash temperatures produce less fermentable wort. I agree with Jay that yeast viablity is an important point that homebrewers often overlook. Start (if not now) using liquid yeast and build it a starter to pitching volume. The 'Pitch in Six' does not always work well (especially in high gravity wort). Aerate the wort (and starter wort) well. I use a Bernzomatic O2 tank with an in-line 0.5 micron filter and carbonating stone (the filters and the stone can be purchased through Beer,Beer and more Beer, buy the tanks at a hardware store - you need to buy the valve).
One thing that I learned in the brewery was to 'knock the carbonation' out before taking a hydrometer reading. We would pour the sample back and forth between two glasses. This would accomplish two things, warm the sample and release the CO2. In our case you may need to cool the sample but the CO2 may change the readings.

Posted final gravities are only suggested. If your FG's are close, but not exact, it may just be the difference in the non fermentable sugars in your wort. If the vary widely, the yeast start is probably the culprit. A little yeast enigizer in high gravity worts used in conjuction with the starter helps a great deal also.

the beers I have made are partial extract with speciality grains I have seeped. The starting gravity was 1.050 it was suppose to be 1.045 the final gravity was 1.020 it was suppose to be 1.012. This was the last one I tried. i will take all of your advise and try a liquid starter for my next batch. and shake the S*** out of it after it is cooled. Thanks again for all the tips.

I use the same BernzOmatic setup as Tom, and a couple of 30 second blasts oxygenate wort so well that my last couple of batches have been overattanuated by 3-4 points. This weekend I'll mash in at a higher temp and add a half-pound of dextrine malt to the grist so I have some unfermentables and body left in the beer.